Question: Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 23% Portfolio B has a beta of .8

Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 23% Portfolio B has a beta of .8 and an expected return of 19%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long postion in portfolio O AA O AB B:A

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